Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....

Over the past few years the CDS market’s role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country’s sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....

This paper describes the first thorough analysis of the interest risk of German banks on an individual bank level. We develop a new method that is based on time series of accountingbased data to quantify the interest risk of banks and apply it to analyze the German banking system. We find...

This paper describes the rst thorough analysis of the interest risk of German banks on anindividual bank level. We develop a new method that is based on time series of accountingbaseddata to quantify the interest risk of banks and apply it to analyze the German bankingsystem. We find evidence...

This paper describes the frst thorough analysis of the interest risk of German bankson an individual bank level. We develop a new method that is based on time series ofaccounting-based data to quantify the interest risk of banks and apply it to analyze theGerman banking system. We find evidence...

Non-maturing banking products are important asset and liability positions of banks. Their complexity inter alia arises from a non-trivial pass-through from market to product rates which makes the valuation and risk analysis challenging for both banks and banking supervisors. Based on a large...

This paper describes the first thorough analysis of the interest risk of German banks on an individual bank level. We develop a new method that is based on time series of accountingbased data to quantify the interest risk of banks and apply it to analyze the German banking system. We find...

This paper describes the first thorough analysis of the interest risk of German banks on an individual bank level. We develop a new method that is based on time series of accountingbased data to quantify the interest risk of banks and apply it to analyze the German banking system. We find...

We introduce an empirical approach to studying credit risk in the corporate loan portfolio. First, historical adverse scenarios for loss rates are identified at sector level. Second, we estimate the empirical association between loan losses and economic growth and then apply it to a scenario of...